Accessible Version
Unpacking the Effects of Bank Credit Supply Shocks on Economic Activity, Accessible Data
Figure 1. Estimated IRFs of GDP and PDFP Growth to a Bank Credit Supply Shock
Percent
| Periods | Response of GDP Growth - Lower Bound of Confidence Band | Response of GDP Growth | Response of GDP Growth - Upper Bound of Confidence Band | Response of PDFP Growth - Lower Bound of Confidence Band | Response of PDFP Growth | Response of PDFP Growth - Upper Bound of Confidence Band |
|---|---|---|---|---|---|---|
| 1 | -0.014318318 | -0.014318318 | -0.014318318 | -0.04388594 | -0.04388594 | -0.04388594 |
| 2 | -0.115213516 | -0.063369335 | -0.011525154 | -0.189488665 | -0.135727506 | -0.081966346 |
| 3 | -0.207771933 | -0.111412865 | -0.015053797 | -0.367947268 | -0.259502342 | -0.151057417 |
| 4 | -0.405230109 | -0.272155123 | -0.139080137 | -0.568167486 | -0.41055295 | -0.252938415 |
| 5 | -0.619958362 | -0.451579738 | -0.283201114 | -0.833438353 | -0.616695079 | -0.399951805 |
| 6 | -0.733833352 | -0.540817269 | -0.347801186 | -1.017078814 | -0.762171851 | -0.507264889 |
| 7 | -0.848059399 | -0.635817254 | -0.423575109 | -1.098411048 | -0.809165023 | -0.519918998 |
| 8 | -0.739460884 | -0.504982112 | -0.270503339 | -1.081574856 | -0.754968379 | -0.428361901 |
| 9 | -0.634543603 | -0.372094316 | -0.10964503 | -1.008182289 | -0.649866717 | -0.291551145 |
| 10 | -0.549019466 | -0.275684256 | -0.002349046 | -0.884133556 | -0.497055314 | -0.109977072 |
| 11 | -0.418885462 | -0.135525253 | 0.147834957 | -0.742536956 | -0.333841172 | 0.074854612 |
| 12 | -0.334501366 | -0.036172304 | 0.262156758 | -0.577415718 | -0.156013166 | 0.265389386 |
| 13 | -0.279895015 | 0.011046969 | 0.301988954 | -0.430341217 | -0.010966405 | 0.408408407 |
| 14 | -0.236461144 | 0.048108147 | 0.332677438 | -0.339285799 | 0.069295746 | 0.477877291 |
| 15 | -0.182031134 | 0.099444737 | 0.380920608 | -0.252528226 | 0.140065059 | 0.532658344 |
| 16 | -0.227484283 | 0.041505126 | 0.310494536 | -0.255788266 | 0.12548639 | 0.506761046 |
| 17 | -0.236552053 | 0.025234629 | 0.287021311 | -0.241051393 | 0.134318754 | 0.509688901 |
| 18 | -0.258077629 | 0.006697469 | 0.271472567 | -0.281202816 | 0.096473419 | 0.474149654 |
| 19 | -0.223883219 | 0.035929889 | 0.295742996 | -0.298415502 | 0.095554016 | 0.489523535 |
| 20 | -0.293380936 | -0.029756197 | 0.233868541 | -0.30857946 | 0.098435585 | 0.50545063 |
Note: The figure shows the estimated impulse responses of GDP growth (the blue line) and PDFP growth (the red dashed-and-dotted line) to a one standard-deviation bank credit supply shock. The light blue and pink shaded areas denote the corresponding 68 percent standard-error confidence bands.
Source: Bureau of Economic Analysis, National and Income Product Accounts; Authors’ calculations.
Figure 2. Estimated IRFs of Real Growth to Overall Bank Credit Supply Shock
(a) PCE
Percent
| Periods | Response of Growth in PCE on Durable Goods | Response of Growth in PCE on Nondurable Goods | Response of Growth in PCE on Services |
|---|---|---|---|
| 1 | -0.291051233 | 0.015716808 | 0.02639204 |
| 2 | -0.381550123 | -0.183817978 | -0.025552757 |
| 3 | -0.786630532 | -0.14855011 | -0.075242878 |
| 4 | -1.043220279 | -0.249440168 | -0.15149218 |
| 5 | -1.171204491 | -0.512108487 | -0.271492793 |
| 6 | -1.640097909 | -0.469224532 | -0.297566184 |
| 7 | -1.523925537 | -0.513878962 | -0.341258626 |
| 8 | -1.076709926 | -0.459880607 | -0.367675575 |
| 9 | -1.103545289 | -0.332824167 | -0.313494771 |
| 10 | -0.891305642 | -0.253807056 | -0.251379201 |
| 11 | -0.376726772 | -0.142003547 | -0.206826788 |
| 12 | -0.146527086 | -0.059215156 | -0.160207208 |
| 13 | -0.134216013 | 0.03780281 | -0.107934252 |
| 14 | 0.20391168 | 0.023940622 | -0.067742803 |
| 15 | 0.335987668 | 0.041260037 | -0.068812773 |
| 16 | 0.078209149 | -9.97665E-05 | -0.04665546 |
| 17 | 0.37743859 | -0.009433238 | -0.074685652 |
| 18 | 0.149541562 | -0.047089068 | -0.10127071 |
| 19 | -0.181792837 | -0.050329936 | -0.078117912 |
| 20 | 0.169113659 | -0.137846083 | -0.087906686 |
(b) Nonresidential Investment
Percent
| Periods | Response of Growth in Nonresidential Investment in Structures | Response of Growth in Nonresidential Investment in Equipment | Response of Growth in Nonresidential Investment in Intangibles |
|---|---|---|---|
| 1 | 0.419279438 | -0.206223193 | -0.130977478 |
| 2 | 0.815750799 | -0.386102171 | -0.206588001 |
| 3 | 1.064277716 | -1.039252898 | -0.238937044 |
| 4 | 1.326780969 | -1.785993262 | -0.385279071 |
| 5 | 0.320540228 | -2.240302179 | -0.478550282 |
| 6 | -0.189233888 | -3.138043412 | -0.57207822 |
| 7 | -0.877496427 | -3.383411612 | -0.633011948 |
| 8 | -2.045863249 | -2.836172541 | -0.61609631 |
| 9 | -2.261886955 | -2.45764363 | -0.680957262 |
| 10 | -2.486281382 | -1.512231896 | -0.425168068 |
| 11 | -2.675421104 | -0.542786025 | -0.365722914 |
| 12 | -2.182770772 | 0.549854827 | -0.352534778 |
| 13 | -1.217239488 | 1.274465715 | -0.073721922 |
| 14 | -0.691074532 | 1.387939418 | -0.250127456 |
| 15 | -0.110733208 | 1.440170891 | -0.183302134 |
| 16 | 0.308900984 | 1.234583222 | -0.085663813 |
| 17 | 0.569192209 | 0.905188003 | 0.035140818 |
| 18 | 0.727754498 | 0.707691985 | 0.085297591 |
| 19 | 1.265537741 | 0.649996991 | 0.207774527 |
| 20 | 1.662450103 | 0.493677717 | 0.232102537 |
(c) Residential Investment
Percent
| Periods | Response of Growth in Residential Investment in Permanent Site Structures | Response of Growth in Residential Investment in Other Structures | Response of Growth in Residential Investment in Equipment |
|---|---|---|---|
| 1 | 0.098218292 | -0.591114143 | -0.160068305 |
| 2 | -0.41499348 | -0.579759221 | -0.250765043 |
| 3 | -1.474614245 | -0.966212801 | -0.261757775 |
| 4 | -1.651094364 | -0.966605189 | -0.223258507 |
| 5 | -2.180361911 | -1.351538124 | -0.514889263 |
| 6 | -2.867151297 | -1.207298389 | -0.827998329 |
| 7 | -2.664352141 | -0.721205686 | -0.993052681 |
| 8 | -2.19540348 | -0.574737394 | -0.881938654 |
| 9 | -1.369624305 | -0.104342441 | -0.609448723 |
| 10 | -0.667683467 | -0.440688307 | -0.366895891 |
| 11 | -0.404782792 | -0.563204998 | 0.074280702 |
| 12 | 0.058047806 | -0.31811529 | 0.534507615 |
| 13 | -0.214487323 | -0.342157538 | 0.522871622 |
| 14 | -0.210811832 | -0.174839826 | 0.932150671 |
| 15 | 0.237564451 | 0.292835518 | 1.005811152 |
| 16 | 0.365460854 | 0.121688988 | 0.815944259 |
| 17 | 0.343625868 | 0.250703669 | 0.709140924 |
| 18 | 0.856546705 | 0.378354198 | 0.648667667 |
| 19 | 1.202904487 | 0.303275807 | 0.391016265 |
| 20 | 1.394752741 | -0.190181608 | 0.155887847 |
Note: The figure shows the estimated impulse responses of real growth for various PDFP sectors to a one standard-deviation bank credit supply shock. Panel (a) shows the responses of personal consumption expenditure on durable goods (the blue dashed-and-dotted line) line), nondurable goods (the red line), and services (the green line). Panel (b) plots the responses of nonresidential investment in structures (the blue dashed-and-dotted line), equipment (the red line), and intangibles (the green line). Panel (c) shows the responses of residential investment in permanent site structures (the blue dashed-and-dotted line), other structures (the red line), and equipment (the green line). Diamonds denote the point estimates of the impulse responses that are statistically significant at the 68 percent confidence level.
Source: Bureau of Economic Analysis, National and Income Product Accounts; Authors’ calculations.
Figure 3. Contributions to PDFP Growth of IRFs to an Overall Bank Credit Supply Shock
Percentage Points
| Periods | Response of PDFP Growth | Contribution of PCE on Durable Goods | Contribution of PCE on Nondurable Goods and Services | Contribution of Nonresidential Investment on Structures | Contribution of Nonresidential Investment on E&I | Contribution of Residential Investment | Sum of Contributions |
|---|---|---|---|---|---|---|---|
| 1 | -0.04388594 | -0.026979555 | 0.016755932 | 0.014915869 | -0.020837421 | -0.012021685 | -0.02816686 |
| 2 | -0.135727506 | -0.035396321 | -0.04639982 | 0.029005228 | -0.037028452 | -0.024830665 | -0.114650029 |
| 3 | -0.259502342 | -0.072761521 | -0.066022711 | 0.037834989 | -0.085729399 | -0.061019786 | -0.247698428 |
| 4 | -0.41055295 | -0.096299818 | -0.12414772 | 0.047152978 | -0.14619374 | -0.065560786 | -0.385049087 |
| 5 | -0.616695079 | -0.109028906 | -0.233438003 | 0.011612494 | -0.184009297 | -0.088880781 | -0.603744494 |
| 6 | -0.762171851 | -0.151725307 | -0.239431602 | -0.006453734 | -0.252814175 | -0.103014129 | -0.753438947 |
| 7 | -0.809165023 | -0.142019382 | -0.268816941 | -0.031104917 | -0.27391899 | -0.086299608 | -0.802159837 |
| 8 | -0.754968379 | -0.101690355 | -0.272295442 | -0.07322055 | -0.234987863 | -0.07099751 | -0.75319172 |
| 9 | -0.649866717 | -0.104576638 | -0.219405246 | -0.080856781 | -0.211734477 | -0.039209501 | -0.655782643 |
| 10 | -0.497055314 | -0.086422077 | -0.170536104 | -0.088909661 | -0.134747384 | -0.029927641 | -0.510542867 |
| 11 | -0.333841172 | -0.040599644 | -0.125307461 | -0.095489689 | -0.066001145 | -0.026235642 | -0.353633581 |
| 12 | -0.156013166 | -0.018645503 | -0.08578614 | -0.077535097 | 0.010812231 | -0.008175952 | -0.179330462 |
| 13 | -0.010966405 | -0.018849104 | -0.039549351 | -0.043326963 | 0.073534004 | -0.015518641 | -0.043710056 |
| 14 | 0.069295746 | 0.010245821 | -0.019725693 | -0.02487161 | 0.073728069 | -0.011300748 | 0.028075839 |
| 15 | 0.140065059 | 0.023201934 | -0.017004515 | -0.004760412 | 0.080800388 | 0.011089158 | 0.093326554 |
| 16 | 0.12548639 | 0.001718886 | -0.014275251 | 0.009590516 | 0.074241748 | 0.010466979 | 0.081742878 |
| 17 | 0.134318754 | 0.026349209 | -0.030734104 | 0.01878863 | 0.058601765 | 0.012768084 | 0.085773585 |
| 18 | 0.096473419 | 0.006255479 | -0.05146018 | 0.024454442 | 0.047247841 | 0.02821108 | 0.054708662 |
| 19 | 0.095554016 | -0.021642277 | -0.040581602 | 0.043127091 | 0.049656016 | 0.034881566 | 0.065440795 |
| 20 | 0.098435585 | 0.009971824 | -0.06262643 | 0.056882442 | 0.042312526 | 0.027966765 | 0.074507128 |
Note: This figure shows the contributions to the estimated response of real PDFP growth (the solid black line) to a one standard-deviation bank credit supply shock. The light green and red hatched bars denote the contributions from personal consumption expenditures on durable goods and on nondurable goods and services. The gold hatched and purple bars show the contributions of nonresidential investment in structures and in equipment and intangibles (E&I), while the blue hatched bars represent the contribution from residential investment. The black dashed-and-dotted line denotes the sum of the contributions.
Source: Bureau of Economic Analysis, National and Income Product Accounts; Authors’ calculations.
Figure 4. Contributions to PDFP Growth of IRFs to Loan Category-Specific Bank Credit Supply Shocks
Percentage Points
| Periods | Response of PDFP Growth | Contribution of PCE on Durable Goods | Contribution of PCE on Nondurable Goods and Services | Contribution of Nonresidential Investment on Structures | Contribution of Nonresidential Investment on E&I | Contribution of Residential Investment | Sum of Contributions |
|---|---|---|---|---|---|---|---|
| 1 | -0.04388594 | -0.029544477 | 0.017006651 | 0.013852811 | -0.007301047 | -0.024847542 | -0.030833604 |
| 2 | -0.135727506 | -0.031319799 | -0.001371188 | 0.036742628 | -0.020792273 | -0.025760154 | -0.042500786 |
| 3 | -0.259502342 | -0.074164213 | 0.000696785 | 0.02750259 | -0.072573513 | -0.055704515 | -0.174242866 |
| 4 | -0.41055295 | -0.094809911 | -0.02108048 | 0.033611717 | -0.162005406 | -0.082953623 | -0.327237702 |
| 5 | -0.616695079 | -0.097536404 | -0.054745976 | 0.016440528 | -0.208461415 | -0.117153368 | -0.461456635 |
| 6 | -0.762171851 | -0.054774854 | -0.061580818 | -0.013015178 | -0.272068544 | -0.133423333 | -0.534862727 |
| 7 | -0.809165023 | -0.064332846 | -0.062236325 | -0.042002093 | -0.259817144 | -0.130267153 | -0.558655561 |
| 8 | -0.754968379 | -0.007355067 | -0.04726529 | -0.069603318 | -0.181357912 | -0.117046673 | -0.42262826 |
| 9 | -0.649866717 | 0.023403754 | 0.005224282 | -0.090667529 | -0.115719151 | -0.083442331 | -0.261200974 |
| 10 | -0.497055314 | -0.006265168 | 0.056559849 | -0.0744664 | -0.028936152 | -0.060091884 | -0.113199755 |
| 11 | -0.333841172 | 0.080578571 | 0.081387839 | -0.074400991 | 0.026706476 | -0.042358347 | 0.071913548 |
| 12 | -0.156013166 | 0.058739661 | 0.094340683 | -0.060237305 | 0.057490964 | -0.030877665 | 0.119456338 |
| 13 | -0.010966405 | 0.052780254 | 0.108123012 | -0.029940779 | 0.085996788 | -0.051825405 | 0.16513387 |
| 14 | 0.069295746 | 0.061707357 | 0.103725809 | -0.022571003 | 0.075727888 | -0.066748987 | 0.151841064 |
| 15 | 0.140065059 | 0.036953068 | 0.072718528 | -0.006586835 | 0.064720455 | -0.056288149 | 0.111517068 |
| 16 | 0.12548639 | 0.066954443 | 0.061445615 | -0.005024916 | 0.07643045 | -0.045764093 | 0.154041499 |
| 17 | 0.134318754 | 0.021350527 | 0.039391594 | -0.002062981 | 0.049136953 | -0.021601355 | 0.086214737 |
| 18 | 0.096473419 | 0.006116735 | 0.01219826 | 0.022930462 | 0.060765547 | 0.012958663 | 0.114969668 |
| 19 | 0.095554016 | -0.008860347 | -0.006157901 | 0.042399653 | 0.077448481 | 0.036624428 | 0.141454315 |
| 20 | 0.098435585 | -0.001698687 | -0.017752982 | 0.056002011 | 0.077563656 | 0.044641308 | 0.158755307 |
Note: This figure shows the contributions to the estimated response of real PDFP growth (the solid black line) to one standard-deviation loan category-specific bank credit supply shocks. The light green and red hatched bars denote the contributions from personal consumption expenditures on durable goods and on nondurable goods and services. The gold hatched and purple bars show the contributions of nonresidential investment in structures and in equipment and intangibles (E&I), while the blue hatched bars represent the contribution from residential investment. The black dashed-and-dotted line denotes the sum of the contributions.
Source: Bureau of Economic Analysis, National and Income Product Accounts; Authors’ calculations.